So do you mean to say that the following format cannot be handled via a t6 format? Date,time,price,vol 20180917,15:29:59,11396.05,375 Because whichever format is used the t6 would need OHLC values which the above file doesn't have? If yes then how can this be handled?
Re: Processing Tick data for zorro strategy
[Re: adityam]
#474983 11/15/1822:0811/15/1822:08
T1 does not contain volume. If you want volume, you must indeed use a .t6 file. You can then ignore the warning message that .t1 is recommended.
Is there a reason why developers decided not to include Volume (Ask/Bid Size) in .t1 format? Isn't it illogical to exclude it from format made for high-precision backtesting? In this case, backtester is not checking whether an order was filled, so it's not a high precision backtesting. Even Multicharts is considering Volume in tick-by-tick backtesting.
Re: Processing Tick data for zorro strategy
[Re: AVL]
#481786 10/30/2019:0610/30/2019:06
